Related papers: No Trade Under Verifiable Information
This is an attempt to formalize the conditions of possibility for free, libre, open access to scientific knowledge within a game. The challenge is to enunciate the terms under which agents participating in the Grand conversation of science…
We examine how uncertain veracity of external news influences investor beliefs, market prices and corporate disclosures. Despite assuming independence between the news' veracity and the firm's endowment with private information, we find…
In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the usual real quantity assumption. For finite probability spaces…
We study the problem of selling identical goods to n unit-demand bidders in a setting in which the total supply of goods is unknown to the mechanism. Items arrive dynamically, and the seller must make the allocation and payment decisions…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
As known, blockchains are traditionally blind to the real world. This implies the reliance on third parties called oracles when extrinsic data is needed for smart contracts. However, reintroducing trust and single point of failure, oracles…
In the absence of empirical confirmation, scientists may judge a theory's chances of being viable based on a wide range of arguments. The paper argues that such arguments can differ substantially with regard to their structural similarly to…
We study an auction with $m$ identical items in a context where $n$ agents can arbitrarily commit to strategies. In general, such commitments non-trivially change the equilibria by inducing a metagame of choosing which strategies to commit…
We study the mechanism design problem of allocating a set of indivisible items without monetary transfers. Despite the vast literature on this very standard model, it still remains unclear how do truthful mechanisms look like. We focus on…
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction…
One fundamental limitation of blockchain-based smart contracts is that they execute in a closed environment. Thus, they only have access to data and functionality that is already on the blockchain, or is fed into the blockchain. Any…
A seminal theorem of Myerson and Satterthwaite (1983) proves that, in a game of bilateral trade between a single buyer and a single seller, no mechanism can be simultaneously individually-rational, budget-balanced, incentive-compatible and…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
Many economic theories have been introduced over the course of history to articulate our understanding of the economy. Classical theories by Adam Smith and David Ricardo's Comparative Advantage have been foundational for the last century's…
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium state, as opportunities for riskless…
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among…